Элемент управления потомок CWnd

// control.h
#define MYCONTROL   "MyControlName"

class CMyControl : public CWnd
{
    DECLARE_DYNAMIC(CMyControl)
public:
    CMyControl();
    virtual ~CMyControl();
        bool Create(const RECT & rect,CWnd * parent);
protected:
    DECLARE_MESSAGE_MAP()
public:
    bool RegisterClass(void);
    afx_msg void OnLButtonDown(UINT nFlags, CPoint point);
};

//control.cpp
#include "stdafx.h"
#include "cust_ctrl2.h"
#include "MyControl.h"
// CMyControl
IMPLEMENT_DYNAMIC(CMyControl, CWnd)
CMyControl::CMyControl()
{
    RegisterClass();
}

CMyControl::~CMyControl()
{
}

bool CMyControl::Create(const RECT & rect, CWnd * parent)
{
    return CWnd::Create(MYCONTROL,"Testing new Component", WS_CHILD| WS_VISIBLE| WS_BORDER |WS_HSCROLL |WS_CAPTION, rect, parent, IID_MYCONTROL);
}

BEGIN_MESSAGE_MAP(CMyControl, CWnd)
    ON_WM_LBUTTONDOWN()
END_MESSAGE_MAP()

//class registering
bool CMyControl::RegisterClass(void)
{  
    WNDCLASS windowclass;
    HINSTANCE hInst = AfxGetInstanceHandle();    
   
    if (!(::GetClassInfo(hInst, MYCONTROL, &windowclass)))
    {
        //If not then we have to register the new class
        windowclass.style =  CS_DBLCLKS | CS_HREDRAW | CS_VREDRAW;
    windowclass.lpfnWndProc = ::DefWindowProc;
        windowclass.cbClsExtra = windowclass.cbWndExtra = 0;
        windowclass.hInstance = hInst;
        windowclass.hIcon = NULL;
        windowclass.hCursor = AfxGetApp()->LoadStandardCursor(IDC_ARROW);
        windowclass.hbrBackground = ::GetSysColorBrush(COLOR_WINDOW);
        windowclass.lpszMenuName = NULL;
        windowclass.lpszClassName = MYCONTROL;

        if (!AfxRegisterClass(&windowclass))
        {
            AfxThrowResourceException();
            return false;
        }
    }
    return true;
}

// on WM_LBUTTONDOWN handler
void CMyControl::OnLButtonDown(UINT nFlags, CPoint point)
{
    MessageBox("Hello click");

    CWnd::OnLButtonDown(nFlags, point);
}

class CMainFrame : public CFrameWnd
{

// ...всякая вода ...
    CStatusBar  m_wndStatusBar;
    CToolBar    m_wndToolBar;
    CChildView    m_wndView;
    CMyControl m_wndControl;
// Generated message map functions
protected:
    afx_msg int OnCreate(LPCREATESTRUCT lpCreateStruct);
    afx_msg void OnSetFocus(CWnd *pOldWnd);
    DECLARE_MESSAGE_MAP()
};

CRect rect;
    this->GetClientRect(&rect);
    if (!m_wndControl.Create(rect,this))
    {
        return -1;
    }

...
    windowclass.lpfnWndProc = ::DefWindowProc;
...